Option pricing under jump diffusion model

被引：0
|
作者：
Li, Qian [1 ]
Wang, Li [1 ]
机构：
[1] Beijing Univ Chem Technol, Coll Math & Phys, Beijing 100029, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2024年 / 211卷
关键词：
L & eacute; vy jump; Measure transformation; Feynman-Kac theorem; Option pricing; STOCHASTIC VOLATILITY; EUROPEAN OPTIONS; TERM STRUCTURE; INTEREST-RATES; BOND;
D O I：
10.1016/j.spl.2024.110137
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We provide an European option pricing formula written in the form of an infinite series of Black-Scholes-type terms under double L & eacute;vy jumps model, where both the interest rate and underlying price are driven by L & eacute;vy processes. The series solution converges with a radius of convergence, and it is complemented by some numerical experiments to demonstrate its speed of convergence.
引用
收藏
页数：10
相关论文
共 50 条
  • [1] Option pricing under a double exponential jump diffusion model
    Kou, SG
    Wang, H
    [J]. MANAGEMENT SCIENCE, 2004, 50 (09) : 1178 - 1192
  • [2] An efficient numerical method for pricing option under jump diffusion model
    Kadalbajoo, Mohan K.
    Kumar, Alpesh
    Tripathi, Lok Pati
    [J]. INTERNATIONAL JOURNAL OF ADVANCES IN ENGINEERING SCIENCES AND APPLIED MATHEMATICS, 2015, 7 (03) : 114 - 123
  • [3] An efficient numerical method for pricing option under jump diffusion model
    Mohan K. Kadalbajoo
    Alpesh Kumar
    Lok Pati Tripathi
    [J]. International Journal of Advances in Engineering Sciences and Applied Mathematics, 2015, 7 (3) : 114 - 123
  • [4] A jump-diffusion model for option pricing under fuzzy environments
    Xu, Weidong
    Wu, Chongfeng
    Xu, Weijun
    Li, Hongyi
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2009, 44 (03): : 337 - 344
  • [5] Option Pricing Under a Mixed-Exponential Jump Diffusion Model
    Cai, Ning
    Kou, S. G.
    [J]. MANAGEMENT SCIENCE, 2011, 57 (11) : 2067 - 2081
  • [6] A jump-diffusion model for option pricing
    Kou, SG
    [J]. MANAGEMENT SCIENCE, 2002, 48 (08) : 1086 - 1101
  • [7] EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION
    Zhang, Jin E.
    Zhao, Huimin
    Chang, Eric C.
    [J]. MATHEMATICAL FINANCE, 2012, 22 (03) : 538 - 568
  • [8] Compound option pricing under a double exponential Jump-diffusion model
    Liu, Yu-hong
    Jiang, I-Ming
    Hsu, Wei-tze
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2018, 43 : 30 - 53
  • [9] Option Pricing under the Kou Jump-Diffusion Model: a DG Approach
    Hozman, Jiri
    Tichy, Tomas
    [J]. PROCEEDINGS OF THE 45TH INTERNATIONAL CONFERENCE ON APPLICATION OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE'19), 2019, 2172
  • [10] Pricing Vulnerable Option under Jump-Diffusion Model with Incomplete Information
    Yang Jiahui
    Zhou Shengwu
    Zhou Haitao
    Guo Kaiqiang
    [J]. DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2019, 2019
12345